TY  - GEN
AB  - The literature on the drivers of international capital flows establishes the importance of global financial risk factors. However, the cross country and time variation in the sensitivity of capital flows to global factors is substantial and not well understood. We present a portfolio balance model suggesting that the foreign currency mismatch on financial institutions' balance sheets determine the size and sign of these institutions' cross border flows in response to global risk factors. Testing the model for European banks' net foreign currency funding flows yields supporting evidence, especially for countries that are not members of the euro area.
AU  - Krogstrup, Signe
AU  - Tille, Cédric
CY  - Kiel
DA  - 2018
DA  - 2018
ID  - 295678
L1  - https://repository.graduateinstitute.ch/record/295678/files/KWP_2104.pdf
L2  - https://repository.graduateinstitute.ch/record/295678/files/KWP_2104.pdf
L4  - https://repository.graduateinstitute.ch/record/295678/files/KWP_2104.pdf
LK  - https://repository.graduateinstitute.ch/record/295678/files/KWP_2104.pdf
N2  - The literature on the drivers of international capital flows establishes the importance of global financial risk factors. However, the cross country and time variation in the sensitivity of capital flows to global factors is substantial and not well understood. We present a portfolio balance model suggesting that the foreign currency mismatch on financial institutions' balance sheets determine the size and sign of these institutions' cross border flows in response to global risk factors. Testing the model for European banks' net foreign currency funding flows yields supporting evidence, especially for countries that are not members of the euro area.
PB  - Institute for the World Economy
PP  - Kiel
PY  - 2018
PY  - 2018
T1  - Foreign currency bank funding and global factors
TI  - Foreign currency bank funding and global factors
UR  - https://repository.graduateinstitute.ch/record/295678/files/KWP_2104.pdf
Y1  - 2018
ER  -